Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0942 |
| Annualized Std Dev | 0.3991 |
| Annualized Sharpe (Rf=0%) | -0.2361 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3874.0000 |
| NAs | 1.0000 |
| Minimum | -0.2754 |
| Quartile 1 | -0.0125 |
| Median | 0.0001 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0132 |
| Maximum | 0.1939 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0009 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0006 |
| Stdev | 0.0251 |
| Skewness | -0.4083 |
| Kurtosis | 8.5548 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0182 |
| Gain Deviation | 0.0170 |
| Loss Deviation | 0.0187 |
| Downside Deviation (MAR=210%) | 0.0228 |
| Downside Deviation (Rf=0%) | 0.0183 |
| Downside Deviation (0%) | 0.0183 |
| Maximum Drawdown | 0.9535 |
| Historical VaR (95%) | -0.0382 |
| Historical ES (95%) | -0.0587 |
| Modified VaR (95%) | -0.0399 |
| Modified ES (95%) | -0.0765 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-24 | 2020-03-18 | NA | -0.9535 | 3208 | 2954 | NA |
| 2006-05-11 | 2006-10-03 | 2007-04-26 | -0.2443 | 241 | 101 | 140 |
| 2008-01-04 | 2008-02-06 | 2008-04-16 | -0.1912 | 71 | 23 | 48 |
| 2006-01-31 | 2006-03-09 | 2006-05-02 | -0.1888 | 64 | 27 | 37 |
| 2007-07-24 | 2007-08-16 | 2007-09-21 | -0.1491 | 43 | 18 | 25 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 | 3.4 | 0.3 | 4.4 |
| 2006 | -3.1 | 1.7 | -1.5 | 2.2 | 1 | 0.8 | -0.4 | 1.7 | 0.8 | -1.7 | 0.7 | -0.9 | 1 |
| 2007 | 0.5 | -0.5 | -1.2 | 0.4 | 0.7 | 0.3 | -3 | 1.4 | 0.8 | -1.1 | -0.8 | -1 | -3.5 |
| 2008 | 3.9 | -3 | 2.3 | -2.6 | 1.3 | 0.5 | 0.8 | -1.4 | -4.1 | 1.4 | -16.6 | 3 | -15.1 |
| 2009 | -2.3 | -1.3 | 1.2 | 4.1 | 3.9 | 0.6 | 1.4 | -2.5 | -3.3 | -4.2 | 1.7 | -0.7 | -1.9 |
| 2010 | 2.9 | 1.3 | 2.6 | -2.8 | -8.5 | 0.3 | 0.1 | 4.3 | 0.5 | 0.1 | 3.1 | 0.2 | 3.5 |
| 2011 | 1.4 | -2.4 | 0.3 | 1.1 | -3.2 | 0.9 | -1.1 | -1.5 | -4.4 | -4.5 | -0.4 | 0 | -13.2 |
| 2012 | 1.2 | 1.3 | 0.7 | 0.9 | -3 | 3.7 | 0.2 | 1.7 | -0.2 | 2 | 1.1 | 2.8 | 13.2 |
| 2013 | 1.1 | -1.5 | -2.8 | -1.9 | -1.8 | 1 | 2.5 | -1.4 | 1.3 | -0.3 | 0.4 | 0.7 | -2.7 |
| 2014 | -0.7 | 1.2 | 0.4 | -1.7 | 0.1 | -0.1 | -0.8 | 0.7 | -2.7 | 1.2 | -3 | -1 | -6.3 |
| 2015 | 2.7 | 1 | 0.6 | -0.2 | -0.6 | -3 | -2 | -3.8 | -1 | 1 | 0.7 | 1 | -3.7 |
| 2016 | -2.7 | 1.2 | -3.2 | 1.9 | -1.1 | 3.4 | -4.4 | -1.6 | 1.5 | -1.1 | 1.1 | -0.4 | -5.4 |
| 2017 | 0.2 | 2.4 | 1.1 | -1.6 | 1 | -0.1 | -1.3 | 1.1 | 0.4 | 0.8 | 3.3 | 0.1 | 7.5 |
| 2018 | 1.5 | -0.1 | 2.3 | -1.1 | -0.2 | 0.2 | -1.2 | -0.2 | 1.1 | 0.2 | -2.7 | -0.8 | -1.2 |
| 2019 | 2 | 1.1 | 3.2 | -2.2 | -2.8 | 0.5 | -5.9 | -0.7 | -3 | 4.1 | -1.6 | -0.2 | -5.7 |
| 2020 | -3 | 3 | -4.3 | -6.9 | 0.8 | -1.5 | -1.5 | -0.5 | -2.8 | 1.6 | 3 | -0.3 | -12.3 |
| 2021 | 0.5 | 4.8 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-10-26 16.4 SPY 119. -0.00290 -0.0034 -0.0179 -0.0417 0.0575 0.323 -0.143 GLD 46.9 -0.0028 0.0127
2 2005-10-27 16.0 SPY 118. -0.0106 0.0037 -0.0293 -0.0456 0.0431 0.318 -0.156 GLD 47.2 0.0053 0.0261
3 2005-10-28 16.4 SPY 120. 0.0144 0.0141 -0.0233 -0.0311 0.0583 0.353 -0.148 GLD 47.2 0.0008 0.015
4 2005-10-31 16.7 SPY 120. 0.0028 0.0014 -0.0237 -0.0342 0.0583 0.343 -0.139 GLD 46.4 -0.0174 0.0002
5 2005-11-01 16.8 SPY 120. 0.003 0.0064 -0.0172 -0.0339 0.0611 0.361 -0.116 GLD 45.7 -0.0144 -0.0283
6 2005-11-02 17.3 SPY 122. 0.0105 0.0199 0.0044 -0.0159 0.0589 0.349 -0.109 GLD 46.1 0.0087 -0.017
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
